(1) Faculty of Industrial Engineering and Management, Technion, Haifa, Israel
Abstract:
The cross-entropy method is a relatively new method for combinatorial optimization. The idea of this method came from the
simulation field and then was successfully applied to different combinatorial optimization problems. The method consists of
an iterative stochastic procedure that makes use of the importance sampling technique. In this paper we prove the asymptotical
convergence of some modifications of the cross-entropy method.